Hello, I'm Dr. Deb and will do my best to help you today.
I'm sorry that Sadie has started digging a hole although there actually can be several different reasons for this behavior....which, by the way, is essentially considered normal for most dogs.
For some dogs, they'll dig because it's an instinct left over from before they were domesticated: they buried their food to hide it from other predators. Obviously, our pets don't need to worry about their source of food (at least those who have owners to care for them) but the instinct is still present.
Some will dig to create a more comfortable "bed" especially if it's too hot or cold, they may dig to find a warmer or cooler place to rest.
There are certain breeds such as terriers who dig because it's in their nature to hunt small prey such as mice or voles and do so by digging.
Additionally, I believe that some dogs dig because they're bored and have nothing else to do or just the opposite because they think it's fun.
Other dogs with separation anxiety will dig but this seems less likely if this is new behavior for Sadie.
I suppose the cat being pregnant might influence this behavior but it's not what I typically believe to be an underlying cause for the majority of diggers.
I hope this helps provide possible explanations for her behavior. Deb